The Bismut-Elworthy-Li formula for jump-diffusions and applications to Monte Carlo pricing in finance
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References listed on IDEAS
- Mark Broadie & Paul Glasserman, 1996. "Estimating Security Price Derivatives Using Simulation," Management Science, INFORMS, vol. 42(2), pages 269-285, February.
- Eric Benhamou, 2002. "Smart Monte Carlo: Various tricks using Malliavin calculus," Finance 0212004, EconWPA.
- Eric Benhamou, 2002. "Smart Monte Carlo: various tricks using Malliavin calculus," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 329-336.
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